Hi I have a time series, which i check it for stationarity using ADF test and arima proc
proc arima data=&td19;
identify var=interest_rate stationarity=(adf=4);
run;
quit;
Below is the ADF test and trend & correlation analysis
i started from the table from the bottom (trend model) and using the Tau compared it with 5% until to reject the null. i concluded that the series is stationary since 0.0315<0.05 zero mean model
However, when i see the ACF/PACF, based on my understanding, the series in not stationary. This is because the ACF decays slowly
My questions are : is this series stationary or not?
Augmented Dickey-Fuller Unit Root Tests |
Type |
Lags |
Rho |
Pr < Rho |
Tau |
Pr < Tau |
F |
Pr > F |
Zero Mean |
0 |
-2.7655 |
0.2517 |
-2.46 |
0.014 |
|
|
|
1 |
-5.0099 |
0.1214 |
-2.26 |
0.0237 |
|
|
|
2 |
-3.982 |
0.168 |
-2.21 |
0.027 |
|
|
|
3 |
-5.0286 |
0.1207 |
-2.27 |
0.0228 |
|
|
|
4 |
-4.2696 |
0.1532 |
-2.14 |
0.0315 |
|
|
Single Mean |
0 |
-2.5618 |
0.7064 |
-1.71 |
0.4237 |
3.03 |
0.2995 |
|
1 |
-6.4379 |
0.3047 |
-2.17 |
0.2186 |
2.78 |
0.3619 |
|
2 |
-4.6272 |
0.4645 |
-1.92 |
0.3218 |
2.49 |
0.437 |
|
3 |
-6.5225 |
0.2983 |
-2.17 |
0.2192 |
2.8 |
0.3657 |
|
4 |
-5.2232 |
0.4056 |
-1.93 |
0.315 |
2.39 |
0.4685 |
Trend |
0 |
-3.4578 |
0.9132 |
-1.23 |
0.8994 |
1.52 |
0.8742 |
|
1 |
-16.6892 |
0.1154 |
-2.83 |
0.1917 |
4.32 |
0.3133 |
|
2 |
-10.7554 |
0.3659 |
-2.18 |
0.4973 |
2.8 |
0.6186 |
|
3 |
-19.6884 |
0.0597 |
-2.79 |
0.2033 |
4.29 |
0.3316 |
|
4 |
-15.4981 |
0.1473 |
-2.39 |
0.3834 |
3.22 |
0.5402 |
